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The national market impact of sovereign rating changes

Brooks, Robert; Faff, Robert W.; Hillier, David; … - In: Journal of banking & finance 28 (2004) 1, pp. 233-250

Persistent link: https://www.econbiz.de/10001857303

The National Market Impact of Sovereign Rating Changes

Faff, Robert W. - 2002

This study investigates the aggregate stock market impact of local currency and foreign currency sovereign rating changes. Consistent with evidence pertaining to company credit rating changes, we report that only rating downgrades have a wealth impact on market returns. Decreases in local...

Persistent link: https://www.econbiz.de/10012741351

Gold factor exposures in international asset pricing

Davidson, Sinclair; Faff, Robert W.; Hillier, David - In: Journal of international financial markets, … 13 (2003) 3, pp. 271-289

Persistent link: https://www.econbiz.de/10001754285

An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets

Faff, Robert W.; Hillier, David; McKenzie, Michael D. - In: Review of Pacific Basin financial markets and policies 8 (2005) 3, pp. 467-500

Persistent link: https://www.econbiz.de/10003140301

An international investigation of the factors that determine conditional gold betas

Faff, Robert W.; Hillier, David - In: The financial review : the official publication of the … 39 (2004) 3, pp. 473-488

Persistent link: https://www.econbiz.de/10002163325

Complete markets, informed trading and equity option introductions

Faff, Robert W.; Hillier, David - In: Journal of banking & finance 29 (2005) 6, pp. 1359-1384

Persistent link: https://www.econbiz.de/10002717339

Modelling return and conditional volatility exposures in global stock markets

Cai, Charlie X.; Faff, Robert W.; Hillier, David; … - In: Review of quantitative finance and accounting 27 (2006) 2, pp. 125-142

Persistent link: https://www.econbiz.de/10003349568

A practical guide to gold as an investment asset

Cai, Charlie X.; Clacher, Iain; Faff, Robert W.; … - In: The handbook of commodity investing, (pp. 712-735). 2008

Persistent link: https://www.econbiz.de/10003795269

Information transmission across stock and bond markets : international evidence

Cai, Charlie X.; Faff, Robert W.; Hillier, David; … - In: Stock market volatility, (pp. 293-310). 2009

Persistent link: https://www.econbiz.de/10003830479

Exploring the link between information quality and systematic risk

Cai, Charlie X.; Faff, Robert W.; Hillier, David; … - In: The journal of financial research 30 (2007) 3, pp. 335-353

Persistent link: https://www.econbiz.de/10003536973